T = 128

COLLINERITY(ρ)

AUTOCO

LEVELS (d)

Models

−0.99

−0.95

−0.9

−0.85

−0.8

0.8

RMSE

MAE

RMSE

MAE

RMSE

MAE

RMSE

MAE

RMSE

MAE

RMSE

MAE

−0.99

VAR(2)

BVAR1

BVAR2

BVAR3

BVAR4

17.22937

13.23589

13.17653

12.83013

12.77960

14.91646

11.46483

11.40185

11.00485

10.93795

21.90444

15.27269

15.11556

14.59160

14.85439

18.05359

12.99190

12.82739

12.30363

12.55301

26.30329

16.48863

16.1352

16.00448

16.80178

20.31245

13.79484

13.4810

13.34275

14.08308

22.50873

17.25900

16.85251

16.99634

18.03695

18.84262

14.30382

13.90399

14.05692

14.98198

24.97179

17.90545

17.42538

17.74118

18.97865

20.52555

14.70387

14.27669

14.55775

15.70669

12.366555

9.753913

9.570891

9.178303

8.947292

9.867055

8.111029

7.934374

7.535906

7.289670

−0.95

VAR(2)

BVAR1

BVAR2

BVAR3

BVAR4

7.661783

6.370249

6.372227

6.500161

6.541526

6.418051

5.269217

5.266374

5.386179

5.420125

9.043002

7.332931

7.333282

7.476272

7.533171

7.333829

5.968955

5.966015

6.102912

6.152550

9.371350

8.031373

8.052061

8.107454

8.200229

7.650303

6.448491

6.481550

6.535236

6.629064

13.00170

8.500655

8.517979

8.615760

8.653810

9.43545

6.762176

6.787717

6.889719

6.938885

13.643892

8.895059 8.921330

8.936636

9.027275

9.933668

7.019988

7.061148

7.099140

7.191605

5.286082

5.142322

4.918230

4.985552

4.785342

4.131556

4.229382

3.985872

4.054149

3.824915

−0.9

VAR(2)

BVAR1

BVAR2

BVAR3

BVAR4

4.771435

4.362781

4.337249

4.393323

4.410897

3.908307

3.551253

3.526718

3.577711

3.591264

5.385200

4.980801

4.991824

5.030188

5.027744

4.360758

3.993930

4.002132

4.038974

4.040220

5.820793

5.469379

5.429540

5.458506

5.457475

4.662540

4.323643

4.292408

4.332745

4.342046

6.076943

5.827049

5.807013

5.764595

5.734579

4.834553

4.557198

4.553049

4.531048

4.518639

6.324809

6.126422

6.074564

6.029237

6.015870

5.009219

4.753069

4.723629

4.711636

4.707262

3.364688

3.947152

3.660195

3.745564

3.468725

2.607623

3.308077

3.018613

3.103055

2.803851

−0.85

VAR(2)

BVAR1

BVAR2

BVAR3

BVAR4

3.680692

3.454091

3.461064 3.479713

3.490724

2.967355

2.779658

2.789749

2.803527

2.810091

4.095767

3.938882

3.944574

3.939841

3.929547

3.276760

3.133889

3.137978

3.141700

3.131812

4.422976

4.342657

4.320403

4.285884

4.258821

3.506239

3.406856

3.395097

3.380606

3.359982

4.615566

4.665832

4.595528

4.562836

4.500178

3.638250

3.623807

3.575939

3.561649

3.523309

4.777651

4.899277

4.810876

4.765831

4.683267

3.748394

3.774418

3.715687

3.697382

3.643135

2.669983

3.468023

3.162908

3.244371

2.936963

2.050323

2.926042

2.633049

2.718677

2.398665

−0.8

VAR(2)

BVAR1

BVAR2

BVAR3

BVAR4

3.055373

2.944984

2.944741

2.955164

2.953468

2.441863

2.352791

2.353353

2.360062

2.359096

3.391013

3.331575

3.348329

3.323106

3.311263

2.689424

2.633942

2.646829

2.633752

2.622841

3.626211

3.698470

3.675676

3.636439

3.579884

2.849274

2.890197

2.875018

2.852393

2.809669

3.807329

3.983771

3.910292

3.849498

3.777316

2.979370

3.079893

3.027415

2.993170

2.943939

3.907342

4.212778

4.116140

4.046711

3.924045

3.046263

3.231453

3.165877

3.126502

3.038138

2.254541

3.191163

2.874961

2.979943

2.645861

1.728246

2.692211

2.401644

2.511278

2.174288

0.8

VAR(2)

BVAR1

BVAR2

BVAR3

BVAR4

2.654206

2.728965

2.705974

2.665213

2.648128

2.097200

2.158179

2.139148

2.105128

2.091308

2.697913

2.779625

2.764075

2.68787

2.680723

2.130844

2.198143

2.183157

2.12321

2.117680

2.719481

2.883034

2.854555

2.731597

2.706527

2.148089

2.283512

2.260852

2.158491

2.137788

2.709711

2.973552

2.924987

2.781588

2.738719

2.138585

2.361480

2.321468

2.200491

2.165865

2.702218

3.057197

2.981809

2.826168

2.750725

2.134435

2.435315

2.370179

2.237295

2.176400

2.220256

2.731553

2.588041

2.673238

2.503954

1.723677

2.207627

2.073646

2.171811

2.007818

0.85

VAR(2)

BVAR1

BVAR2

BVAR3

BVAR4

3.050589

3.100007

3.071986

3.004581

2.985086

2.436472

2.473666

2.449269

2.393383

2.377309

3.117300

3.139194

3.117831

3.043114

3.017451

2.487087

2.500250

2.485876

2.423359

2.402853

3.104689

3.218102

3.184090

3.073587

3.057904

2.477465

2.566508

2.539957

2.449375

2.435876

3.105600

3.307878

3.247531

3.119071

3.066501

2.478757

2.642758

2.591621

2.484352

2.441635

3.085249

3.371854

3.290611

3.138801

3.087073

2.461835

2.697790

2.630079

2.502352

2.460630

2.508883

2.996137

2.858626

2.911674

2.748926

1.957726

2.420239

2.291587

2.362096

2.206288

0.9

VAR(2)

BVAR1

BVAR2

BVAR3

BVAR4

3.764386

3.740808

3.680259

3.594659

3.553195

3.059702

3.022111

2.966716

2.898046

2.860565

3.803230

3.765262

3.729521

3.626014

3.597044

3.082635

3.036083

3.006810

2.919360

2.896358

3.962934

3.829513

3.794741

3.666482

3.629607

3.216458

3.084710

3.057041

2.951201

2.921500

3.887860

3.897016

3.827421

3.692122

3.653226

3.147939

3.144560

3.085142

2.972574

2.938109

3.881184

3.933268

3.866029

3.709252

3.648013

3.152091

3.171288

3.113105

2.986345

2.936770

3.041222

3.457976

3.326255

3.315510

3.169645

2.389360

2.795069

2.673346

2.687656

2.547928

0.95

VAR(2)

BVAR1

BVAR2

BVAR3

BVAR4

5.804847

5.157735

5.074068

4.884419

4.835171

4.855117

4.250161

4.175784

4.013207

3.970884

6.458031

5.175174

5.13902

4.951390

4.926808

5.262287

4.255861

4.22378

4.063292

4.041924

6.343540

5.301088

5.167625

5.035572

4.993293

5.262355

4.359783

4.244808

4.132024

4.097031

6.284473

5.270171

5.189649

5.037693

5.027825

5.229915

4.334131

4.258897

4.129435

4.124057

6.462951

5.269785

5.197418

5.062795

4.965637

5.341590

4.325537

4.263038

4.150245

4.070103

4.535777

4.506465

4.393451

4.289787

4.162256

3.608310

3.660309

3.555035

3.489605

3.367875

0.99

VAR(2)

BVAR1

BVAR2

BVAR3

BVAR4

15.78162

9.202420

8.956609

8.837134

8.862659

13.28442

7.865673

7.661451

7.555928

7.567703

14.98277

9.300202

9.356678

9.218690

9.167212

12.76054

7.935610

7.998900

7.875251

7.823893

16.91082

9.541168

9.593496

9.303724

9.364018

13.88216

8.142277

8.194518

7.946998

8.004640

17.29287

9.531320

9.519450

9.380312

9.669616

14.11688

8.127908

8.131793

8.011799

8.264426

16.82134

9.585189

9.713431

9.448674

9.522039

14.01105

8.180462

8.294674

8.069179

8.127670

11.04608

7.420486

7.315312

7.143228 7.163405

8.68497

6.085577

5.995111

5.861300

5.869270